Chia seeds are great for the digestive system but they can wreak havoc if you are not usd to them and begin eating things like chia pudding and putting large amounts into a shake. I began eating them and only using a tablespoon in my smoothie and ended up with terrible gas and bloating. I cut them out completely and began adding them in slowly (about 1/2 teaspoon a day) and they have really helped with regularity and no more bloating :)

This may not be your issue... as you've only been incorporating coconut MILK and didn't mention how much you've been consuming. BUT, I began eating paleo about 3 months ago and overtime became soo joyfully, obsessed with coconut. haha.. I would cook with coconut butter, drink the whole coconut smoothies at my health food shop, drink coconut water, eat the amazing raw desserts which are primarily coconut oil, coconut butter, with a little agave among other ingredients.

Anyhow, after two weeks of this bliss, I started noticed different symptoms, all at different times.
Fatigue... I'd say, "MAN, I'm tired!" And generally felt foggy because of it.
Constipated... not as in 'I can't go', but just would have to sit a bit longer than usual.

Bloated!... omg, sooo bloated. I looked like I'd gained ten pounds... tummy distended.
Gas... ALL. DAY.
And finally water retention... I jumped on the scale and saw that I'd gained over five pounds (?!?) since the last time I'd weighed a little under a week ago.

So I went searched around Paleohacks and I think that my symptoms match up perfectly with Die-off from candida/yeast. I say that because I'm relatively new to being low-carb and adding tons of coconut into my diet which is high in lauric acid, caprylic acid and other things that kill yeast. Its one of things on candida free diets they tell you to eat.
That and I've been taking a YeastReLease tincture with Pau D'Arco for general support.

Anyhow, like I said, I don't know how much coconut you've been eating. But, lots of fiber/chia would wipe away at the build-up on your colon wall exposing yeast build-ups...

and then again, you could just not digest coconut milk very well, or perhaps the gaur gum and you do not mix well, or its chia. Lots of different explanations here. ;)

It might be the guar gum or one of the additives that are commonly in coconut milk cans...

chia seeds and I DO NOT get along. they are VERY bad for my digestion. this may also be true for you.

some people have a similar effect from coconut milk, every body is different.

How long have you been doing the chia seeds? When I first started them, they had that same effect on me -- but after a while I did get "used" (for lack of a better word) to them and things started moving along again.

I have never heard of this reaction from coconut milk, but as Moonablaze said, every body is different, and it could be either of them giving you problems. I would carefully add them back one at a time to see which one of them is causing the problems.

Good luck!!